A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR...

International Journal of Theoretical and Applied Finance 2004 / 08 Vol. 7; Iss. 5

A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL

REBONATO, RICCARDO, KAINTH, DHERMINDER
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Volume:
7
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024904002591
Date:
August, 2004
File:
PDF, 472 KB
english, 2004
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